About: Imprecise Volatility and Option Replication and Hedging

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Option pricing is usually done within the risk-neutral world. The justification is the ability to set up a replication portfolio - the portfolio, consisting of the underlying asset and the riskless investment, which will replicate the target payoff of the option for all states of the world. If the portfolio exists, it can be used to set up hedged, and therefore riskless, portfolio. It means, that the real world drift does not play any role and we can use the riskless rate in order to both, model the future payoff and discount it back to the beginning. The only problem which remains is how to specify the underlying asset price risk - the volatility of its returns. In this paper, we reformulate the binomial model for the case of unknown volatility. We propose formulas for both, replication and hedging portfolio. Option pricing is usually done within the risk-neutral world. The justification is the ability to set up a replication portfolio - the portfolio, consisting of the underlying asset and the riskless investment, which will replicate the target payoff of the option for all states of the world. If the portfolio exists, it can be used to set up hedged, and therefore riskless, portfolio. It means, that the real world drift does not play any role and we can use the riskless rate in order to both, model the future payoff and discount it back to the beginning. The only problem which remains is how to specify the underlying asset price risk - the volatility of its returns. In this paper, we reformulate the binomial model for the case of unknown volatility. We propose formulas for both, replication and hedging portfolio. (en) Option pricing is usually done within the risk-neutral world. The justification is the ability to set up a replication portfolio - the portfolio, consisting of the underlying asset and the riskless investment, which will replicate the target payoff of the option for all states of the world. If the portfolio exists, it can be used to set up hedged, and therefore riskless, portfolio. It means, that the real world drift does not play any role and we can use the riskless rate in order to both, model the future payoff and discount it back to the beginning. The only problem which remains is how to specify the underlying asset price risk - the volatility of its returns. In this paper, we reformulate the binomial model for the case of unknown volatility. We propose formulas for both, replication and hedging portfolio. (cs)
Title	Imprecise Volatility and Option Replication and Hedging Imprecise Volatility and Option Replication and Hedging (en) Imprecise Volatility and Option Replication and Hedging (cs)
skos:prefLabel	Imprecise Volatility and Option Replication and Hedging Imprecise Volatility and Option Replication and Hedging (en) Imprecise Volatility and Option Replication and Hedging (cs)
skos:notation	RIV/61989100:27510/07:00014634!RIV10-GA0-27510___
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(GP402/05/P085)
http://linked.open...vai/riv/dodaniDat	2010
http://linked.open...aciTvurceVysledku	Tichý, Tomáš
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	425753
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/07:00014634
http://linked.open...riv/jazykVysledku	cze - čeština
http://linked.open.../riv/klicovaSlova	Option pricing; replication; hedging; volatility; interval; hedging error; super-replication (en)
http://linked.open.../riv/klicoveSlovo	hedging error Option pricing replication volatility super-replication hedging interval
http://linked.open...ontrolniKodProRIV	[9906CD6C7482]
http://linked.open...v/mistoKonaniAkce	Ostrava
http://linked.open...i/riv/mistoVydani	Ostrava
http://linked.open...i/riv/nazevZdroje	Mathematical Methods in Economics
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Application of replication methods in pricing and hedging of financial derivatives at non-perfect market
http://linked.open...UplatneniVysledku	2007
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open...ain/vavai/riv/wos	000262102500044
http://linked.open.../riv/zahajeniAkce	2007-09-04 (xsd:date)
number of pages	8 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Vysoká škola báňská - Technická univerzita Ostrava
https://schema.org/isbn	978-80-248-1457-5
http://localhost/t...ganizacniJednotka	27510

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